The Impact of Major Event on Regime Switching of Financial Market Volatility Spillover: The Case of the 2011 Japanese Earthquake

Lu Wang (), Jiong-lou Xu and Mao Li
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Lu Wang: Southwest Jiaotong University
Jiong-lou Xu: Southwest Jiaotong University
Mao Li: Southwest Jiaotong University

Chapter Chapter 62 in The 19th International Conference on Industrial Engineering and Engineering Management, 2013, pp 663-672 from Springer

Abstract: Abstract Natural disasters may inflict significant regime switching of financial market volatility spillover. Using Japan and other four world’s major stock market indexes, this chapter examines if any regime switching occurred across financial markets after the 2011 Japanese earthquake based on copula model. The results indicate that strengthened cross-markets regime switching with significant evidence of volatility spillover are noticeable for Japan-Hong Kong, Japan-US and Japan-China pairs. Every national/regional stock market is found to suffer on the effect by the 2011 Japanese earthquake.

Keywords: Copula; major event; regime switching; volatility spillover (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-37270-4_62

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DOI: 10.1007/978-3-642-37270-4_62

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